Row

Rank

Predicted Beta

Idiosyncratic Volatility

Row

Annualized return and volatility

Close
Annualized Return 0.1041
Annualized Std Dev 0.2481
Annualized Sharpe (Rf=0%) 0.4195

Row

Daily Return Statistics

Close
Observations 3661.0000
NAs 1.0000
Minimum -0.1496
Quartile 1 -0.0069
Median 0.0012
Arithmetic Mean 0.0005
Geometric Mean 0.0004
Quartile 3 0.0086
Maximum 0.1044
SE Mean 0.0003
LCL Mean (0.95) 0.0000
UCL Mean (0.95) 0.0010
Variance 0.0002
Stdev 0.0156
Skewness -0.5598
Kurtosis 8.1069

Downside Risk

Close
Semi Deviation 0.0115
Gain Deviation 0.0104
Loss Deviation 0.0122
Downside Deviation (MAR=210%) 0.0159
Downside Deviation (Rf=0%) 0.0113
Downside Deviation (0%) 0.0113
Maximum Drawdown 0.5884
Historical VaR (95%) -0.0237
Historical ES (95%) -0.0371
Modified VaR (95%) -0.0250
Modified ES (95%) -0.0518
From Trough To Depth Length To Trough Recovery
2007-10-11 2009-03-09 2010-11-26 -0.5884 748 316 432
2018-09-04 2020-03-18 2020-12-22 -0.5444 581 387 194
2015-06-24 2016-02-11 2016-11-18 -0.2655 357 161 196
2011-07-08 2011-10-03 2012-02-03 -0.2550 146 61 85
2014-07-07 2014-10-13 2015-02-10 -0.1436 152 70 82

Row

Monthly and Calendar Year Returns

Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Close
2006 NA NA 0.2 0 0.4 0.5 -0.6 -0.4 -0.5 -1.1 -0.4 -0.7 -2.4
2007 0.9 0.1 -0.2 -0.1 0.3 -0.4 -0.6 1.3 1.7 -2.4 -0.8 -0.9 -1.2
2008 1.8 -3.7 -0.5 1.8 0.2 -0.3 -0.5 -0.9 -0.3 5.4 -8.5 2.1 -4
2009 -2 -3.3 2.2 0.3 3.9 1.7 0.1 -2.2 -3.3 -3.4 1.6 -0.9 -5.6
2010 1.1 1.9 -0.6 -3 -2.4 -0.8 -0.4 3 0.2 -0.9 1.8 -1.3 -1.6
2011 1.9 -1.5 0.2 0.8 -2.8 1.2 -0.8 -1.6 -2.9 -3.5 -0.3 -0.7 -9.7
2012 2 0.4 0.1 0.9 -3 4.2 -1.7 0.1 0.7 1.2 -0.5 2.2 6.6
2013 1.5 0.5 -1.8 -2.2 -0.9 1.4 0.9 -1.1 1.4 -1 0.4 0.2 -0.8
2014 -0.9 -0.2 1.3 -0.1 -0.4 1.7 -0.8 0.6 -1.5 2.1 -2.6 -0.6 -1.4
2015 -2 -0.5 -0.7 1.1 0.4 0 0.2 -2.5 -0.4 -0.6 1.1 -1.4 -5.2
2016 -0.1 1.9 0.5 -0.7 1 0.4 0.2 0.3 1.3 -1.1 -0.9 -0.5 2.4
2017 0 1.6 0.2 1.3 2 0 0.5 0.5 0.6 -1.2 -0.7 -0.1 4.7
2018 0.5 -0.9 1.7 0.6 1 0.4 0.4 1 -1.7 3.7 -0.4 0.4 7
2019 -0.2 0.5 0.8 -0.7 -1.4 0.4 -1.1 -0.7 -2.2 1.5 -0.3 0.3 -3.2
2020 -2.9 -2.5 -8.4 -4.2 1.4 -0.6 -0.3 1.6 1.3 -2.2 0.9 -0.5 -15.7
2021 2.8 3.4 1.4 NA NA NA NA NA NA NA NA NA 7.8

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Price Chart

Row

Rolling Performance Chart

Row

Snail Trail Chart